How to enforce covariance-matrix output as part of the last layer of a Policy Network?
Usually it is assumed that there is no correlation between different actions, so the covariance matrix will be zero everywhere except on the main diagonal. Diagonal will represent variances of actions. Diagonal covariance matrix will be positive semidefinite if all values on diagonal are $\geq$ 0 so you need to insure that output of final layer is $\geq$ 0, which can be done with ReLU activation for example.